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Direct MessagesDate/Time: Sat, 18 May 2024 17:04:45 +0000
Post From: market depth data recording limited by Maximum Depth Levels Displayed?
| [2018-02-04 03:08:42] |
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The CME provides 10 standard levels of depth, and to do additional depth, requires using the market by order data which is very complicated and inefficient. We talk about this in posts # 15 through 19 here: What is Sierra Chart Working On At this point we may or may not get that out. Essentially what we have to do is merge the 10 levels, with additional levels, maintained in completely separate data containers from the market by order data. And do this at every market depth update. This is totally inefficient. It must be done in this way, in order to maintain the proper integrity of the first 10 levels. Otherwise, the first 10 levels inevitably are going to get inaccurate when there is packet loss and trying to recover from that using the market by order snapshot feed is ridiculously inefficient. And our own data provider Barchart, also has had trouble with market by order data and has not released it. And they agree that the CME is making this whole thing unnecessarily complicated. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2018-02-04 03:14:30
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